Add sharpe ratio as loss function

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Matthias
2019-07-15 22:52:33 +02:00
parent e5170582de
commit 55e8092cbf
5 changed files with 73 additions and 13 deletions

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@@ -151,6 +151,20 @@ The above setup expects to find ADX, RSI and Bollinger Bands in the populated in
When you want to test an indicator that isn't used by the bot currently, remember to
add it to the `populate_indicators()` method in `hyperopt.py`.
## Loss-functions
Each hyperparameter tuning requires a target. This is usually defined as a function, which get's closer to 0 for increasing values.
By default, freqtrade uses a loss function we call `legacy` - since it's been with freqtrade since the beginning and optimizes for short trade duration.
This can be configured by using the `--loss <value>` argument.
Possible options are:
* `legacy` - The default option, optimizing for short trades and few losses.
* `sharpe` - using the sharpe-ratio to determine the quality of results
* `custom` - Custom defined loss-function [see next section](#using-a-custom-loss-function)
### Using a custom loss function
To use a custom loss function, make sure that the function `hyperopt_loss_custom` is defined in your custom hyperopt class.